most citedPseudo-maximum likelihood estimation of ARCH models

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math.ST2006★ 10 cited

Pseudo-maximum likelihood estimation of ARCH models

Peter M. Robinson, Paolo Zaffaroni

Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class of ARCH processes are established. The co…

math.ST2005

Efficiency improvements in inference on stationary and nonstationary fractional time series

P. M. Robinson

We consider a time series model involving a fractional stochastic component, whose integration order can lie in the stationary/invertible or nonstationary regions and be unknown, a…